Execution of co-dependent transactions in a transaction processing system

ABSTRACT

Systems and methods are disclosed for ensuring execution of multiple inter-dependent transactions in an electronic data transaction processing system in which a plurality of data items are transacted by one or more hardware matching processors associated therewith that match a combined electronic data transaction request comprising a conditional execution instruction and a plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items.

RELATED APPLICATIONS

This application claims the benefit of the filing date under 35 U.S.C. §119(e) of Provisional U.S. Patent application Ser. No. 62/272,847, filedon Dec. 30, 2015, which is hereby incorporated by reference in itsentirety.

BACKGROUND

Computer processing speeds depend in large part on the amount of databeing processed and the complexity of the operations and processingbeing performed on the data. Reducing or minimizing the number of datasets and/or operations performed thereon can increase processingefficiency. One exemplary environment where optimizing computerprocessing is desirable is in financial markets, and in particular,electronic financial exchanges, such as a futures exchange, such as theChicago Mercantile Exchange Inc. (CME).

A financial instrument trading system, such as a futures exchange, suchas the Chicago Mercantile Exchange Inc. (CME), provides a contractmarket where financial instruments, e.g., futures and options onfutures, are traded using electronic systems. “Futures” is a term usedto designate all contracts for the purchase or sale of financialinstruments or physical commodities for future delivery or cashsettlement on a commodity futures exchange. A futures contract is alegally binding agreement to buy or sell a commodity at a specifiedprice at a predetermined future time. An option contract is the right,but not the obligation, to sell or buy the underlying instrument (inthis case, a futures contract) at a specified price within a specifiedtime. The commodity to be delivered in fulfillment of the contract, oralternatively the commodity for which the cash market price shalldetermine the final settlement price of the futures contract, is knownas the contract's underlying reference or “underlier.” The terms andconditions of each futures contract are standardized as to thespecification of the contract's underlying reference commodity, thequality of such commodity, quantity, delivery date, and means ofcontract settlement. Cash settlement is a method of settling a futurescontract whereby the parties effect final settlement when the contractexpires by paying/receiving the loss/gain related to the contract incash, rather than by effecting physical sale and purchase of theunderlying reference commodity at a price determined by the futurescontract, price. Options and futures may be based on more generalizedmarket indicators, such as stock indices, interest rates, futurescontracts and other derivatives.

An exchange may provide for a centralized “clearing house” through whichtrades made must be confirmed, matched, and settled each day untiloffset or delivered. The clearing house may be an adjunct to anexchange, and may be an operating division of an exchange, that isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. One of the roles of the clearing house is tomitigate credit risk. Clearing is the procedure through which theclearing house becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the clearinghouse.

The clearing house of an exchange clears, settles and guarantees matchedtransactions in contracts occurring through the facilities of theexchange. In addition, the clearing house establishes and monitorsfinancial requirements for clearing members and conveys certain clearingprivileges in conjunction with the relevant exchange markets.

Traders trading on an exchange often desire to trade multiple financialinstruments in combination. Each component of the combination may bereferred to as a leg. Traders may submit orders for individual legs orin some cases may submit a single order for multiple financialinstruments in an exchange-defined combination or a trader-definedcombination. Such orders may be called a combination order, a strategyorder, a spread order, or a variety of other names.

Legging risk is the risk of not being able to fulfill a particular legof a combination order (two or more related orders) at the pricedesired. This may occur when the trader is not trading anexchange-offered strategy such as a spread order, i.e. a single productoffered for trading by the exchange that comprises multiple componentproducts, but has determined a combination composed of legs that areindividually tradable instruments in a market or across markets. Thetrader may attempt to trade all of the combination's legs at the sametime by submitting individual transaction requests therefore. However,as each transaction is individually processed by the Exchange along withtransactions received from other traders that may be competing for thesame opportunities, as soon there is a significant possibility that oneor more of the trader's transactions will not be transacted as expected.If less than all of the leg transactions are traded, the trader isexposed to legging risk, i.e. the risk that overall goal, e.g. aparticular hedge position, of the combination of the transactions willnot be achieved. If the price at which a leg is executed is differentfrom what the trader expected or if a leg fails to trade because anexpected resting offer has been filled by another order, the desiredrisk of the overall position the trader was trying to achieve, as it wascalculated, may no longer be valid, and the trader is “legged out”. Thismay not only eliminate any benefit, but also leave the trader with anadverse position.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative computer network system that may be usedto implement aspects of the disclosed embodiments.

FIG. 2 depicts an illustrative embodiment of a general computer systemfor use with the disclosed embodiments.

FIG. 3 depicts an example market order message management system thatmay be used to implement aspects of the disclosed embodiments.

FIG. 4 depicts an example system for processing a conditional massorder.

FIG. 5 depicts an example flowchart depicting operation of the system ofFIG. 4 for processing a conditional mass order.

FIGS. 6A, 6B, and 6C depict example structures of an electronic datatransaction request message comprising a conditional mass order.

FIG. 7 depicts an example flowchart depicting operation of a matchingengine.

FIG. 8 depicts an example system for processing a conditional mass order

DETAILED DESCRIPTION

The disclosed embodiments relate generally to matching orders in anorder book. A request (referred to as a conditional mass order) may bereceived that includes multiple orders and a conditional executioninstruction. The conditional execution instruction may require, forexample, that the multiple orders included in the request should only beexecuted if the multiple orders will all be completely satisfied basedon the current status of the relevant order books, otherwise the ordershould be rejected. This requirement allows a trader to determine theirown combination of orders and submit the combination of orders to theexchange without the risk that some of the orders will, and some willnot, be executed. If the conditional execution instruction has beendetermined to be satisfied, a match engine may match the orders with oneor more resting, i.e. previously received but unsatisfied, orders.

The conditional mass order may be useful in many different scenarioswhere a trader wishes to have multiple orders automatically executedaccording to specified conditions, such as all of the orders beingfilled entirely (or at a specified minimum quantity) or none at all. Forexample a conditional mass order may allow a trader create transactions,i.e. trading strategies (combinations of transactions which achieve adesired result) which result in a desired hedge or risk positions, whichonly trade if particular prices and/or quantities of different productsmay be obtained, or which result in implied matches, as will bedescribed in more detail below, and may allow traders to utilize anydegree of implication complexity, independent of what the exchangeimplemented at the matching engine, without fear of orders not beingexecuted. In the case of utilizing conditional mass orders to achieve animplied result, the conditional mass order may allow for increasedimplication complexity done outside the match engine without increasingthe computational load on a match engine. With increased implication,the conditional mass order may also allow for, as well as increase,transactional opportunities and improved accessibility of separateliquidity pools that increases the value of the exchange for end-users.

In the context of foreign currency swaps, referred to as Spot FX, thedisclosed embodiments may allow a trader to submit a combination of a USDollar/British Pounds (USD/GBP) swap and a British Pound/Euro (GBP/EUR)swap to achieve an equivalent of a Euro/US Dollar position (EUR/USD) viaimplication.

An Exchange may offer tradeable products that implement a tradingstrategy via a singular transaction/transactable product that includes acombination of individual orders (legs). Additionally, tradingstrategies that are not offered by an exchange as a tradeable productmay nevertheless be generated by submitting combinations of orders usingtrading software. Both exchange offered and trading software generatedtrading strategies may include multiple products across multiple orderbooks.

Each order book for a product may be referred to as a market for theproduct. Electronic trading of financial instruments, such as futurescontracts, is conducted by market participants sending orders, such asto buy or sell one or more futures contracts, in electronic form, e.g.electronic data transaction request messages, to the Exchange. Theseelectronically submitted orders to buy and sell are then matched, ifpossible, by the Exchange, i.e. by the Exchange's match engine, toexecute a trade. Outstanding (unmatched, wholly unsatisfied/unfilled orpartially satisfied/filled) orders are maintained in one or morememories or other storage devices, such as in one or more datastructures or databases stored therein referred to as “order books,”such orders being referred to as “resting,” and made visible, i.e.,their availability for trading is advertised, to the market participantsthrough electronic notifications/broadcasts, referred to as market datafeeds. An order book is typically maintained for each product, e.g.instrument, traded on the electronic trading system and generallydefines or otherwise represents the state of the market for thatproduct, i.e. the current prices at which the market participants arewilling buy or sell that product. Order books may constantly be changingas orders arrive and are either matched and filled, or unmatched andadded to the order book, or are otherwise modified or canceled.

In derivative markets, liquidity may be naturally fragmented acrossmultiple related markets. End-users of that liquidity may not betechnically savvy enough to access multiple order books at the samepoint in time. That leaves room for more technologically savvyparticipants to act on expected micro shocks in liquidity demand,reducing the liquidity available to end-users. An Exchange may addressthis concern by automatically aggregating the separate pools ofliquidity, referred to as “implication”.

Implication is where a given order for a financial instrument may bematched via a combination of suitable counter orders for financialinstruments that share common, or otherwise interdependent, componentfinancial instruments. While each financial instrument may have its ownorder book, i.e. market, in which it may be traded, in the case of afinancial instrument having more than one component financialinstrument, those component financial instruments may further have theirown order books in which the component financial instruments may betraded. Accordingly, when an order for a financial instrument isreceived, it may be matched against a suitable counter order in its ownorder book or, possibly, against a combination of suitable counterorders in the order books the component financial instruments thereof,or that share a common component financial instrument.

The order for a particular financial instrument actually received from amarket participant, whether it comprises one or more component financialinstruments, is referred to as a “real” or “outright” order, or simplyas an outright. The one or more orders that must be synthesized intoorder books other than the order book for the outright order in order tocreate matches therein, are referred to as “implied” orders. Uponreceipt of an incoming order, the identification or derivation ofsuitable implied orders that would allow at least a partial trade of theincoming outright order to be executed is referred to as “impliedmatching”, the identified orders being referred to as an “impliedmatch.” Depending on the number of component financial instrumentsinvolved, and whether those component financial instruments furthercomprise component financial instruments of their own, there may benumerous different/alternative implied matches identified that wouldallow the incoming order to be at least partially matched and mechanismsmay be provided to arbitrate among them, such as by picking the impliedmatch comprising the least number of component financial instruments orthe least number of synthesized orders (or, alternatively, the maximumthereof).

Upon receipt of an incoming order, or thereafter, the identification orderivation of a combination of one or more suitable counter orders thathave not actually been received but if the counter orders were received,would allow at least a partial trade of the incoming order to beexecuted, is referred to as an “implied opportunity.” As with impliedmatches, there may be numerous implied opportunities identified for agiven incoming order. Implied opportunities are advertised to the marketparticipants, such as via suitable synthetic orders, e.g. counter to thedesired order, being placed on the respective order books to rest (orgive the appearance that there is an order resting) and presented viathe market data feed to appear available to trade in order to solicitthe desired orders from the market participants. Depending on the numbercomponent financial instruments involved, and whether those componentfinancial instruments further comprise component financial instrumentsof their own, there may be numerous alternative implied opportunities,the submission thereof, would allow the incoming order to be at leastpartially matched.

Implied opportunities, e.g. the advertised synthetic orders, mayfrequently have better prices than the corresponding real orders in thesame contract. This may occur when two or more traders incrementallyimprove their order prices in the hope of attracting a trade, sincecombining the small improvements from two or more real orders may resultin a big improvement in their combination. In general, advertisingimplied opportunities at better prices will encourage traders to enterthe opposing orders to trade with the implied opportunities.

The more implied opportunities that the match engine of an electronictrading system can calculate/derive, the greater this encouragement willbe and the more the Exchange will benefit from increased transactionvolume. However, creating or identifying implied opportunities may becomputationally intensive. Some exchanges actively manage implicationcomplexity dependent on the technical performance cost such as reducingcomplexity in busy products (or times). When this occurs, the lack ofimplication fuels the perception of some end-users that liquidity tendsto evaporate when the end-users trade. A reduction of implication meansless liquidity for end-users and therefore suboptimal execution prices.A lack of liquidity or an evaporation of liquidity may additionallydiminish the ability of traders to trade across markets.

As was discussed above, traders may use and/or outside tradinginterfaces may offer more complex implication computation than exchangesexplicitly offer. The trading interfaces may aggregate market data toshow theoretical liquidity from combinations of order books that are notoffered in existing spreads. The interfaces typically generatecombinations of orders that are submitted to the exchange on behalf ofthe client. Trading interfaces may submit the orders across multiplebooks at the same time. However, each individual leg or order may not befilled due to latency in the transmission or a previously availablematch being filled. The combinations of orders sent by vendors ofimplication calculations cannot be guaranteed to be fully executed(referred to as “legging risk”). Getting traded on a portion of such acombination may be worse than to not trade the combination altogether.

Trading interfaces may attempt to diminish legging risk by presentingnear simultaneous orders. One method may include sending a plurality oftrade requests; executing a transaction for a first portion of one ofthe plurality of trade requests and matching a second portion of the oneof the plurality of trade requests against another of the plurality oftrade requests. In certain scenarios, if the orders are executed acrossthe different books at or near the same time, the legging risk may beobviated. However, a chance still exists for a third party to come inand execute a trade that involves some or all of the potential matchedproducts. Certain systems may attempt to predict the availability ofpotential matches. However, these systems may not be perfect and as suchdo not eliminate legging risk. Other systems may split orders intosmaller pieces that have a better chance of being filled. This maydiminish the legging risk, such a system does not allow for a trader toexecute a strategy in full, but rather may only partially fill anoriginal order. Other systems may shift the risk from a trader to anexchange by guaranteeing a leg will be filled.

Systems may attempt to limit legging risk by limiting latency between atrading interface and one or more exchanges. For example, a system maysequence, match, or store orders or parts of orders in a particularmanner in order to attempt to fill each leg. Exchanges may attempt tolimit legging risk by organizing or scheduling orders. Orders may bematched in a sequence that limits legging risk. For example, relatedorders may be queued to match across different order books. The sequencemay depend on recent order fills across multiple exchanges. Sequencing,however, does not eliminate legging risk. There still exists apossibility that one or more legs may go unfilled. Existing systems andexisting technical solutions are unable to eliminate legging risk.

The disclosed embodiments relate generally to a type of electronic datatransaction request, e.g. a combined electronic data transaction requestor conditional mass order, and the processing thereof, that wouldeliminate legging risk by allowing the submitting trader to specify adesired set of orders along with one or more conditions for theirexecution, e.g. that the orders all must be fully executed (or executedat a specified minimum quantity) or none of the orders should be, wherethe transaction processing system will execute the set of ordersaccording to the specified conditions, e.g. by ensuring that all of theorders may be fully executed prior to the execution of any of theorders. The disclosed processing of a conditional mass order, forexample, structured in the form of an implied order thereby allows forsimultaneous access to liquidity in separate pools of liquidity withoutneed for, or in addition to, internal implication functionality. Aconditional mass order may allow traders to utilize multiple degrees ofimplication complexity while limiting legging risk. The implicationcomplexity may also be removed from the match engine that may allow fordramatically increased match engine performance.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading, it should be appreciated that thedisclosed embodiments may be applicable to any equity, fixed incomesecurity, currency, e.g. Spot Foreign Exchange (FX), commodity, optionsor futures trading system or market now available or later developed. Itshould be appreciated that a trading environment, such as a futuresexchange as described herein, implements one or more economic marketswhere rights and obligations may be traded. As such, a tradingenvironment may be characterized by a need to maintain market integrity,transparency, predictability, fair/equitable access and participantexpectations with respect thereto. For example, an exchange must respondto inputs, such as trader orders, cancelations, etc., in a manner asexpected by the market participants, such as based on market data, e.g.,prices, available counter-orders, etc., to provide an expected level ofcertainty that transactions will occur in a consistent and predictablemanner and without unknown or unascertainable risks. In addition, itshould be appreciated that electronic trading systems further imposeadditional expectations and demands by market participants as totransaction processing speed, latency, capacity and response time, whilecreating additional complexities relating thereto. Accordingly, as willbe described, the disclosed embodiments may further includefunctionality to ensure that the expectations of market participant aremet, e.g., that transactional integrity and predictable system responsesare maintained.

Electronic trading systems ideally attempt to offer an efficient, fairand balanced market where market prices reflect a true consensus of thevalue of products traded among the market participants, where theintentional or unintentional influence of any one market participant isminimized if not eliminated, and where unfair or inequitable advantageswith respect to information access are minimized if not eliminated.

While the disclosed embodiments may be described in reference to theCME, it should be appreciated that these embodiments are applicable toany exchange. Such other exchanges may include a clearing house that,like the CME clearing house, clears, settles and guarantees all matchedtransactions in contracts of the exchange occurring through itsfacilities. In addition, such clearing houses establish and monitorfinancial requirements for clearing members and convey certain clearingprivileges in conjunction with the relevant exchange markets.

The disclosed embodiments are also not limited to uses by a clearinghouse or exchange for purposes of enforcing a performance bond or marginrequirement. For example, a market participant may use the disclosedembodiments in a simulation or other analysis of a portfolio. In suchcases, the settlement price may be useful as an indication of a value atrisk and/or cash flow obligation rather than a performance bond. Thedisclosed embodiments may also be used by market participants or otherentities to forecast or predict the effects of a prospective position onthe margin requirement of the market participant.

The methods and systems described herein may be integrated or otherwisecombined with various risk management methods and systems, such as therisk management methods and systems described in U.S. Pat. No. 7,769,667entitled “System and Method for Activity Based Margining”, the entiredisclosure of which is incorporated by reference herein and relied upon.For example, the methods and systems described herein may be configuredas a component or module of the risk management systems described in theabove-referenced patent. Alternatively or additionally, the disclosedmethods may generate data to be provided to the systems described in theabove-referenced patent. For example, the settlement prices determinedby the disclosed embodiments may be incorporated into marginrequirement(s) determined by the risk management method or system.

In one embodiment, the disclosed methods and systems are integrated orotherwise combined with the risk management system implemented by CMEcalled Standard Portfolio Analysis of Risk™ (SPAN®). The SPAN systembases performance bond requirements on the overall risk of theportfolios using parameters as determined by CME's Board of Directors,and thus represents a significant improvement over other performancebond systems, most notably those that are “strategy-based” or“delta-based.” Further details regarding SPAN are set forth in theabove-referenced patent.

The embodiments may be described in terms of a distributed computingsystem. The particular examples identify a specific set of componentsuseful in a futures and options exchange. However, many of thecomponents and inventive features are readily adapted to otherelectronic trading environments. The specific examples described hereinmay teach specific protocols and/or interfaces, although it should beunderstood that the principles involved may be extended to, or appliedin, other protocols and interfaces.

It should be appreciated that the plurality of entities utilizing orinvolved with the disclosed embodiments, e.g., the market participants,may be referred to by other nomenclature reflecting the role that theparticular entity is performing with respect to the disclosedembodiments and that a given entity may perform more than one roledepending upon the implementation and the nature of the particulartransaction being undertaken, as well as the entity's contractual and/orlegal relationship with another market participant and/or the exchange.

An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 1 . An exchange computer system 100receives messages that include orders and transmits market data relatedto orders and trades to users, such as via wide area network 126 and/orlocal area network 124 and computer devices 114, 116, 118, 120 and 122,as will be described below, coupled with the exchange computer system100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements that may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the example computer 200described below with respect to FIG. 2 . A user database 102 may beprovided that includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedthat may process account information that may be used during trades. Amatch engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices, e.g., in a continuous auction market, oralso operate as an order accumulation buffer for a batch auction market.

A market data module 112 may be included to collect market data andprepare the data for transmission to users. A risk management module 134may be included to compute and determine a user's risk utilization inrelation to the user's defined risk thresholds. An order processingmodule 136 may be included to decompose delta based and bulk order typesfor processing by the order book module 110 and/or match engine module106. A message management module 140 may be included to, among otherthings, receive, and extract orders from, electronic messages as isindicated with one or more aspects of the disclosed embodiments. Itshould be appreciated that concurrent processing limits may be definedby or imposed separately or in combination, as was described above, onone or more of the trading system components, including the userdatabase 102, the account data module 104, the match engine module 106,the trade database 108, the order book module 110, the market datamodule 112, the risk management module 134, the order processing module136, the message management module 140, the fault tolerance module 142,or other component of the exchange computer system 100.

In an embodiment, the message management module 140, as coupled with theorder book module 110, may be configured for receiving a plurality ofelectronic messages, each of the plurality of messages having anassociated action to be executed within a designated period of timehaving a beginning time and an ending time, wherein at least oneelectronic message of the plurality of electronic messages comprisesdata representative of a particular time between the beginning and endof the period of time at which the action associated with the at leastone electronic message is to be executed. The exchange computer system100 may then be further configured to execute the action associated withthe at least one temporally specific message at the particular time.

The message management module 140 may define a point of ingress into theexchange computer system 100 where messages are ordered and consideredto be received by the system. This may be considered a point ofdeterminism in the exchange computer system 100 that defines theearliest point where the system can ascribe an order of receipt toarriving messages. The point of determinism may or may not be at or nearthe demarcation point between the exchange computer system 100 and apublic/internet network infrastructure.

One skilled in the art will appreciate that one or more modulesdescribed herein may be implemented using, among other things, atangible computer-readable medium comprising computer-executableinstructions (e.g., executable software code). Alternatively, modulesmay be implemented as software code, firmware code, hardware, and/or acombination of the aforementioned. For example the modules may beembodied as part of an exchange 100 for financial instruments.

The trading network environment shown in FIG. 1 includes exemplarycomputer devices 114, 116, 118, 120 and 122 which depict differentexemplary methods or media by which a computer device may be coupledwith the exchange computer system 100 or by which a user maycommunicate, e.g., send and receive, trade or other informationtherewith. It should be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device, that may comprise a computer 200described in more detail below with respect to FIG. 2 , may include acentral processor that controls the overall operation of the computerand a system bus that connects the central processor to one or moreconventional components, such as a network card or modem. Each computerdevice may also include a variety of interface units and drives forreading and writing data or files and communicating with other computerdevices and with the exchange computer system 100. Depending on the typeof computer device, a user can interact with the computer with akeyboard, pointing device, microphone, pen device or other input devicenow available or later developed.

An exemplary computer device 114 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 220 shown in FIG. 2 and described belowwith respect thereto. The exemplary computer device 114 is further shownconnected to a radio 132. The user of radio 132, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 114 or a user thereof. The user of the exemplary computer device114, or the exemplary computer device 114 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 that may be configured in one or more of thewell-known LAN topologies, e.g., star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computer and other devices that are coupled with the LAN124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1 , an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 124 and/or the Internet 126 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with exchange computer system 100via a conventional wireless hub 128.

FIG. 1 also shows the LAN 124 coupled with a wide area network (“WAN”)126 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 126 includes the Internet126. The LAN 124 may include a router to connect LAN 124 to the Internet126. Exemplary computer device 120 is shown coupled directly to theInternet 126, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 126 via aservice provider therefore as is known. LAN 124 and/or WAN 126 may bethe same as the network 220 shown in FIG. 2 and described below withrespect thereto.

As was described above, the users of the exchange computer system 100may include one or more market makers 130 that may maintain a market byproviding constant bid and offer prices for a derivative or security tothe exchange computer system 100, such as via one of the exemplarycomputer devices depicted. The exchange computer system 100 may alsoexchange information with other match or trade engines, such as tradeengine 138. One skilled in the art will appreciate that numerousadditional computers and systems may be coupled to exchange computersystem 100. Such computers and systems may include clearing, regulatoryand fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may include computer-executable instructions forreceiving order information from a user, transmitting that orderinformation to exchange computer system 100 in electronic messages,extracting the order information from the electronic messages, executingactions relating to the messages, and/or calculating values fromcharacteristics of the extracted order to facilitate matching orders andexecuting trades. In another example, the exemplary computer device 118may include computer-executable instructions for receiving market datafrom exchange computer system 100 and displaying that information to auser. In another example, the exemplary computer device 118 may includea non-transitory computer-readable medium that stores instructions forassigning orphaned jobs to surviving instances based on job loads and/oraggregate instance loads as described herein.

Of course, numerous additional servers, computers, handheld devices,personal digital assistants, telephones and other devices may also beconnected to exchange computer system 100. Moreover, one skilled in theart will appreciate that the topology shown in FIG. 1 is merely anexample and that the components shown in FIG. 1 may include othercomponents not shown and be connected by numerous alternativetopologies.

As shown in FIG. 1 , the exchange computer system 100 further includes amessage management module 140 that may implement, in conjunction withthe market data module 112, the disclosed mechanisms for managingelectronic messages containing financial data sent between an exchangeand a plurality of market participants, or vice versa. However, as wasdiscussed above, the disclosed mechanisms may be implemented at anylogical and/or physical point(s) through which the relevant messagetraffic, and responses thereto, flows or is otherwise accessible,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

Referring to FIG. 2 , an illustrative embodiment of a general computersystem 200 is shown. The computer system 200 can include a set ofinstructions that can be executed to cause the computer system 200 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 200 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed above,such as the processor 202, may be a computer system 200 or a componentin the computer system 200. The computer system 200 may implement amatch engine, margin processing, payment or clearing function on behalfof an exchange, such as the CME, of which the disclosed embodiments area component thereof.

In a networked deployment, the computer system 200 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 200 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 200 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 200 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 2 , the computer system 200 may include aprocessor 202, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 202 may be a component ina variety of systems. For example, the processor 202 may be part of astandard personal computer or a workstation. The processor 202 may beone or more general processors, digital signal processors, applicationspecific integrated circuits, field programmable gate arrays, servers,networks, digital circuits, analog circuits, combinations thereof, orother now known or later developed devices for analyzing and processingdata. The processor 202 may implement a software program, such as codegenerated manually (i.e., programmed).

The computer system 200 may include a memory 204 that can communicatevia a bus 208. The memory 204 may be a main memory, a static memory, ora dynamic memory. The memory 204 may include, but is not limited tocomputer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 204 includes a cache or random access memory forthe processor 202. In alternative embodiments, the memory 204 isseparate from the processor 202, such as a cache memory of a processor,the system memory, or other memory. The memory 204 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 204 is operableto store instructions executable by the processor 202. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 202 executing the instructions 212stored in the memory 204. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firmware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 200 may further include a display unit214, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 214may act as an interface for the user to see the functioning of theprocessor 202, or specifically as an interface with the software storedin the memory 204 or in the drive unit 206.

Additionally, the computer system 200 may include an input device 216configured to allow a user to interact with any of the components ofsystem 200. The input device 216 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 200.

In a particular embodiment, as depicted in FIG. 2 , the computer system200 may also include a disk or optical drive unit 206. The disk driveunit 206 may include a computer-readable medium 210 in which one or moresets of instructions 212, e.g., software, can be embedded. Further, theinstructions 212 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 212 mayreside completely, or at least partially, within the memory 204 and/orwithin the processor 202 during execution by the computer system 200.The memory 204 and the processor 202 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 212 or receives and executes instructions 212responsive to a propagated signal, so that a device connected to anetwork 220 can communicate voice, video, audio, images or any otherdata over the network 220. Further, the instructions 212 may betransmitted or received over the network 220 via a communicationinterface 218. The communication interface 218 may be a part of theprocessor 202 or may be a separate component. The communicationinterface 218 may be created in software or may be a physical connectionin hardware. The communication interface 218 is configured to connectwith a network 220, external media, the display 214, or any othercomponents in system 200, or combinations thereof. The connection withthe network 220 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly as discussed below.Likewise, the additional connections with other components of the system200 may be physical connections or may be established wirelessly.

The network 220 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 220 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated hardware implementations, suchas application specific integrated circuits, programmable logic arraysand other hardware devices, can be constructed to implement one or moreof the methods described herein. Applications that may include theapparatus and systems of various embodiments can broadly include avariety of electronic and computer systems. One or more embodimentsdescribed herein may implement functions using two or more specificinterconnected hardware modules or devices with related control and datasignals that can be communicated between and through the modules, or asportions of an application-specific integrated circuit. Accordingly, thepresent system encompasses software, firmware, and hardwareimplementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by specifically configuredsoftware programs executable by a computer system and/or by specificallyconfigured computer systems. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose, e.g. specificallyconfigured, microprocessors, and any one or more processors of any kindof digital computer. Generally, a processor will receive instructionsand data from a read only memory or a random access memory or both. Acomputer generally includes a processor for performing instructions andone or more memory devices for storing instructions and data. Generally,a computer will also include, or be operatively coupled to receive datafrom or transfer data to, or both, one or more mass storage devices forstoring data, e.g., magnetic, magneto optical disks, or optical disks.However, a computer need not have such devices. Moreover, a computer canbe embedded in another device, e.g., a mobile telephone, a personaldigital assistant (PDA), a mobile audio player, a Global PositioningSystem (GPS) receiver, to name just a few. Computer readable mediasuitable for storing computer program instructions and data include allforms of non-volatile memory, media and memory devices, including by wayof example semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for user interaction as well. Feedback provided to the user canbe any form of sensory feedback, e.g., visual feedback, auditoryfeedback, or tactile feedback. Input from the user can be received inany form, including acoustic, speech, or tactile input.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., a data server, or that includes a middleware component, e.g., anapplication server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a LAN and a WAN, e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other.

FIG. 3 illustrates an embodiment of market order message management asimplemented using the message management module 140 and order bookmodule 110 of the exchange computer system 100. As such, a message 10may be received from a market participant at the exchange computersystem 100 by a message receipt module 144 of the message managementmodule 140. The message receipt module 144 processes the message 10 byinterpreting the content of the message based on the message transmitprotocol, such as the transmission control protocol (“TCP”), to providethe content of the message 10 for further processing by the exchangecomputer system.

Further processing may be performed by the order extraction module 146.The order extraction module 146 may be configured to detect, from thecontent of the message 10 provided by the message receipt module 144,characteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the order extraction module 146 mayidentify and extract order content such as a price, product, volume, andassociated market participant for an order. The order extraction module146 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. The order extraction module may also identify andextract other order information and other actions associated with theextracted order. All extracted order characteristics, other information,and associated actions extracted from a message for an order may becollectively considered an order as described and referenced herein.

Order or message characteristics may include, for example, the state ofthe system after a message is received, arrival time (e.g., the time amessage arrives at the MSG or Market Segment Gateway), message type(e.g., new, modify, cancel), and the number of matches generated by amessage. Order or message characteristics may also include marketparticipant side (e.g., buy or sell) or time in force (e.g., a gooduntil end of day order that is good for the full trading day, a gooduntil canceled ordered that rests on the order book until matched, or afill or kill order that is canceled if not filled immediately).

The order may be communicated from the order extraction module 146 to anorder processing module 136. The order processing module 136 may beconfigured to interpret the communicated order, and manage the ordercharacteristics, other information, and associated actions as they areprocessed through an order book module 110 and eventually transacted onan electronic market. For example, the order processing module 136 maystore the order characteristics and other content and execute theassociated actions. In an embodiment, the order processing module mayexecute an associated action of placing the order into an order book foran electronic trading system managed by the order book module 110. In anembodiment, placing an order into an order book and/or into anelectronic trading system may be considered a primary action for anorder. The order processing module 136 may be configured in variousarrangements, and may be configured as part of the order book module110, part of the message management module 140, or as an independentfunctioning module.

The embodiments described herein utilize trade related electronicmessages such as mass quote messages, individual order messages,modification messages, cancelation messages, etc., so as to enacttrading activity in an electronic market. The trading entity and/ormarket participant may have one or multiple trading terminals associatedwith the session. Furthermore, the financial instruments may befinancial derivative products. Derivative products may include futurescontracts, options on futures contracts, futures contracts that arefunctions of or related to other futures contracts, swaps, swaptions, orother financial instruments that have their price related to or derivedfrom an underlying product, security, commodity, equity, index, orinterest rate product. In one embodiment, the orders are for optionscontracts that belong to a common option class. Orders may also be forbaskets, quadrants, other combinations of financial instruments, etc.The option contracts may have a plurality of strike prices and/orcomprise put and call contracts. A mass quote message may be received atan exchange. As used herein, an exchange 100 includes a place or systemthat receives and/or executes orders.

It should be appreciated that the disclosed embodiments may beapplicable to other types of messages depending upon the implementation.Further, the messages may comprise one or more data packets, datagramsor other collection of data formatted, arranged configured and/orpackaged in a particular one or more protocols, e.g., the FIX protocol,TCP/IP, Ethernet, etc., suitable for transmission via a network 214 aswas described, such as the message format and/or protocols described inU.S. Pat. No. 7,831,491 and U.S. Patent Publication No. 2005/0096999 A1,both of which are incorporated by reference herein in their entirety.Further, the disclosed message management system may be implementedusing an open message standard implementation, such as FIX or FIX/FAST,or by an exchange-provided API.

FIG. 4 depicts an example system 400 for processing a combinedelectronic data transaction request message, e.g. for matching aconditional mass order (CMO). The system may execute multipleco-dependent transactions in an electronic data transaction processingsystem. A plurality of data items (e.g. instruments) may be transactedby one or more hardware matching processors 440. The hardware matchingprocessors 440 match incoming electronic data transaction requestmessages (e.g. orders) as the messages are received. The orders for aninstrument, based on a first set of transaction parameters (e.g. price,quantity, buy/sell) are matched with at least one other previouslyreceived but unsatisfied electronic data transaction request messagecounter thereto (e.g. resting order). The previously received butunsatisfied electronic data transaction request message may be stored ina memory 450 (e.g. order book) associated with the instrument. Themechanisms of the processing a combined electronic data transactionrequest message are discussed below.

The system 400 may be configured to execute multiple co-dependenttransactions in an electronic data transaction processing system inwhich a plurality of data items are transacted by one or more hardwarematching processors associated therewith. The one or more hardwarematching processors match, as they are received, incoming electronicdata transaction request messages, for one of the plurality of dataitems based on a first set of transaction parameters, received over adata communication network with at least one other previously receivedbut unsatisfied electronic data transaction request message counterthereto stored in a memory associated with the plurality of data itemscoupled with the hardware matching processors, to at least partiallysatisfy one or both of the incoming electronic data transaction requestmessages or the at least one other previously received electronic datatransaction request message.

The system 400 comprises an incoming order receiver 410, a validationprocessor 420, an order forwarder 430, one or more data structures 450stored in one or more memories 204, and one or more hardware matchingprocessors 440. The system 400 may include or be part of the matchengine module 106, the order book module 110, the message managementmodule 140, or the order processing module 136, or a combinationthereof. The system 400 may receive input from the exchange computersystem 100, the trade engine 138, the WAN 126, or a wireless hub 128.The incoming order receiver 410 is coupled with the validation processor420, the order forwarder, and the one or more hardware matchingprocessors 440. The validation processor 420 is further coupled to theorder forwarder 430 and the one or more hardware matching processors440. The order forwarder is further coupled to the one or more hardwarematching processors 440. The hardware matching processors 440 arecoupled with the data structures 450. The data structures 450 and/or thememories 204 in which they are stored and the one or more hardwarematching processors 440 may comprise the match engine 400. In certainembodiments, the incoming order receiver 410, validation processor 420,order forwarder, data structures 450, and hardware matching processors440 may comprise the match engine 400. In certain embodiments, thesystem 400 receives incoming messages (orders), processes the orders,and outputs a market data feed (the status of the data structures aswill be described) and a processed order (from the hardware matchingprocessors 440; to be sent to the message management module 140 forreporting).

The one or more hardware matching processors 440 are operable to matchincoming electronic data transaction request messages with one or morepreviously received but unsatisfied, e.g. resting, orders stored in theone or more data structures 450/memories 204.

In certain embodiments, there may be a single hardware matchingprocessor that is connected to each of the one or more data structures450. A single hardware matching processor may operate sequentially, forexample, first in first out. Messages or orders may be received from thevalidation processor 420 or the order forwarder 430 and placed in aqueue. A single hardware matching processor may attempt to satisfy eachorder or message in the sequence that it arrives in the queue.

In certain embodiments, there may be multiple hardware matchingprocessors 440 that are connected to the one or more data structures450. Each hardware matching processor 440 may be assigned to a specificdata structure 450. Each data structure, that may also be referred to asan order book, is associated with a particular “data item”, e.g.tradeable product, and stores data representative of previously receivedbut unsatisfied electronic data transaction requests for that particulardata item. In certain embodiments, hardware matching processors 440 maybe assigned to multiple data structures 450. For multiple hardwarematching processors, messages or orders may be received from thevalidation processor 420 or the order forwarder 430 and sent to thehardware matching processor 440 that is responsible for the data item inthe message or order. Each individual hardware matching processor 440may have a separate queue for orders. In operation, each hardwarematching processor 440 may be sent an instruction from the validationprocessor to prohibit modification of one or more of the data structures450 with which it is coupled, i.e. the hardware matching processor 440and/or data structures 450 may be locked. The hardware matchingprocessor may be locked from attempting to fill or match an order in thespecified data structure 450. By locking the hardware matching processor440 or the specified data structure 450, the validation processor 420may ensure that an outside order may not be processed and match againsta resting order before the component order, thus negating the ability ofthe validation processor 420 to guarantee that a component order in aCMO will be fully satisfied. The command to prohibit adjustment (orlock) may be sent from the validation processor 420 or the orderforwarder 430. The command to prohibit adjustment may be sent from amaster hardware matching processor. One or more of the hardware matchingprocessors 440 may be considered a master hardware matching processor. Amaster hardware matching processor may control other hardware matchingprocessors, such as giving instructions or managing queues. Once a CMOorder has been validated and forwarded, an unlock command may betransmitted by the validation processor 420 or the order forwarder 430.

The data structures 450, each of which may be referred to as an “orderbook” or “order book database”, may be operable to store data indicativeof previously received but unsatisfied electronic data transactionrequest messages, e.g. “resting orders”, and may be stored in memory 204or other storage device. The data stored in the data structures 450 mayrepresent order books for the data items. The data items may betradeable products such as financial instruments, e.g., futures andoptions on futures, swaps, such as currency (FX) swaps, etc. Each datastructure 450 or order book for a product may be referred to as a marketfor the product. Electronic trading of financial instruments, such asfutures contracts or currency swaps, is conducted by market participantssending orders, such as to buy or sell one or more futures contracts, inelectronic form to the Exchange. These electronically submitted ordersto buy and sell are then matched, if possible, by the Exchange, i.e. bythe Exchange's match engine 400, to execute a trade. Outstanding(unmatched, wholly unsatisfied/unfilled or partially satisfied/filled)orders are maintained in one or more data structures 450 or databasesreferred to as “order books,” such orders being referred to as“resting,” and made visible, i.e., their availability for trading isadvertised, to the market participants through electronicnotifications/broadcasts, referred to as market data feeds. An orderbook is typically maintained for each product, e.g. instrument, tradedon the electronic trading system and generally defines or otherwiserepresents the state of the market for that product, i.e. the currentprices that the market participants are willing buy or sell thatproduct.

The incoming order receiver 410 may be operable to receive incomingelectronic data transaction request messages from the network and storethe received incoming electronic data transaction request messages in abuffer. The buffer may located in or a segment of memory 204. Theincoming order receiver 410 may forward the received incoming electronicdata transaction request messages to the particular hardware matchingprocessor 440 for the particular data structure 450 of the data item ofthe received incoming electronic data transaction request message. Theincoming order receiver 410 is further operative to receive a combinedelectronic data transaction request comprising a conditional executioninstruction and a plurality of component electronic data transactionrequest messages, each for transaction of a different data item of theplurality of data items. The incoming order receiver 410 may store thecombined electronic data transaction request in the buffer. The combinedelectronic data transaction request may be referred to as a conditionalmass order (CMO). The CMO may include a conditional executioninstruction (CEI) and a plurality of component electronic datatransaction request messages (legs). When the incoming order receiver410 (receiver) receives a normal order, the receiver 410 stores theorder in the buffer. The receiver 410 then forwards the normal order toan appropriate match processer that handles the instrument and therespective data structure (order book). When the receiver 410 identifiesan order as a CMO, the receiver 410 forwards the CMO to the validationprocessor 420.

The validation processor 420 may be operable to validate the conditionalexecution instruction, e.g. to validate if each of the plurality ofcomponent electronic data transaction request messages may be matchedwith at least one other previously received but unsatisfied electronicdata transaction request message counter thereto stored in the datastructure 450 to satisfy the conditional execution instruction. Thevalidation processor 420 determines if the CEI is capable of beingsatisfied in light of the present state of the one or more order books450 that correspond to the one or more legs or component orders in theCMO. The CEI may specify one or more conditions under which it may besatisfied. The CEI, for example, may require that the each leg becapable of being fully satisfied, or satisfied at a minimum quantity,e.g. the smallest quantity of any of the component transactions (whichmay be referred to as Fill and Kill (FAK)), by one or more restingorders on the respective order book 450. The CEI may further specifyconstraints on what prices may satisfy any one or more of the componenttransactions, on combinations of subsets and alternatives thereto, orcombinations thereof. In on embodiment, the CEI may take the form of aBoolean expression utilizing combinations of Boolean operators, e.g.AND, OR, XOR, IF/THEN, NOT, etc., to define what combination of thecomponent transactions, or subsets thereof, and according to whatparameters, e.g. price and/or quantity parameters, may satisfy the CEI.Where a CEI specifies full satisfaction of all of the componenttransactions, referred to as Fill or Kill (FOK), in order to determineif the orders may be fully satisfied, the validation processor 420 maysend test messages (orders) to the hardware matching processors 440. Thehardware matching processors 440 may attempt to match the test ordersagainst the order books and return either a success or failure messageto the validation processor 420. The validation processor 420 maycollect the success and failure messages and then uses these messages todetermine if the CEI has been satisfied. In certain embodiments, thevalidation processor 420 may only perform checks again real orders.Implied or synthetic orders may be less reliable as they may be removedif related orders are filled.

In certain embodiments, the validation processor 420 may send a commandto the hardware matching processors 440 (or directly to the order books450) to lock (prohibit any changes) the order books. By locking theorder books 450, other orders are prohibited from being matched andtherefore changing the state of the order books 450 (and therefore theanalysis of the validation processor 420 of whether the CEI may besatisfied with the current state of the order books). The validationprocessor 420 may send an unlock message after validating the CMO. Incertain embodiments, the unlock message may be sent only after thecomponent orders have been matched. The lock command may remain ineffect for a defined period of time. In an embodiment, the lock commandmay remain in effect indefinitely until one or more conditions have beenmet. For example, the lock command may persist until a CMO has beenrejected or confirmed.

If the validation processor 420 determines that the CEI will not besatisfied, for example by receiving one or more failure messages, thevalidation processor 420 may reject the CMO. The validation processor420 may send a message to the exchange system with the information andreason why the CMO was rejected. The validation processor 420 may alsosend a message to the incoming order receiver 410 that it is ready for anew message/order.

If the validation processer determines that the CEI will be satisfiedwith the current state of the order books, the validation processor 420then sends an instruction to the order forwarder to release thecomponent orders for matching.

The order forwarder is operable to upon the occurrence of the validationprocessor 420 validating that the conditional execution instruction willbe satisfied, forward each of the plurality of component electronic datatransaction request messages to the one or more hardware matchingprocessors 440.

FIG. 5 depicts an example flowchart 500 for matching a conditional massorder (CMO). Additional, different, or fewer acts may be provided. Theacts are performed in the order shown or other orders. The acts may alsobe repeated. Certain acts may be skipped. For example, Acts A120 andA150 may not be performed if there is a single match engine 400(including a single hardware matching processor) that processes eachorder in sequence.

At Act A110 the match engine 400 receives an order. If the order is aCMO, the match engine 400 proceeds to Act A120. If the order is not aCMO, such as a regular order to buy or sell a single instrument, thematch engine 400 attempts to match the order at Act A125 against restingorders in an order book (which may be referred to as an “order bookdatabase” or “data structure”) that the regular order is placed for. Fora CMO, the match engine 400 uses a separate process that may include theacts A120, A130, A140, and A150. Acts A120, A130, A140, and A150 may beperformed with multiple match engines 400 or a single match engine 400.These Acts may be performed serially or in parallel. Prior to Act A140,the process may be stopped or cancelled by an end-user.

Traders trading on an exchange including, for example, exchange computersystem 100, may desire to trade multiple financial instruments incombination. Each component or order of the combination may be called aleg. Traders may submit orders for individual legs or in some cases cansubmit a single order for multiple financial instruments in anexchange-defined combination. Such orders may be called a combinationorder, a strategy order, a spread order, or a variety of other names.For a combination order the orders for individual legs may run the riskof not being filled and therefore generate an unwanted position. Inorder to guarantee that the legs or order be filled, Traders may submita conditional mass order (CMO). A CMO may contain several legs or orders(orders 1 to N) and a Conditional Execution Instruction (CEI). The CEIindicates the way the match engine 400 should process the orderscontained in the CMO. In certain embodiments, a trader may submit acomplex trading strategy that includes one or more orders. For example,a trader may submit a legacy combination order that may be broken downby the match engine 400 into a CEI and individual legs.

In certain embodiments, the CMO may be received as a Fill or Kill order(FOK). A FOK order uses a type of time-in-force designation thatinstructs the exchange to execute a transaction immediately andcompletely or not at all. The order must be filled in its entirety orcanceled (killed). The purpose of a fill or kill order is to ensure thatan entire position is entered at a desired price.

In certain embodiments, the CMO may not be received as a FOK order, butrather may be cycled back though the match engine 400 if one or morelegs are rejected. A CMO may have a limited number of attempts or a timeframe (time in force) for attempts to be made to fill the CMO. A CMO mayalternatively be good till canceled (GTG). Other conditions may beincluded in the CMO as a whole or for the individual orders that make upthe CMO. For example, a CMO or an order may include trigger values thatfurther limit beyond price when an order may be filled.

In certain embodiments, the CMO may be received as a Fill and Kill order(FAK). A FAK order uses a minimum quantity, e.g. the smallest quantityof the component transaction. The CMO requires that the minimum quantitymust be Tillable for the CEI to be validated. For example, a trader maywant a GEZ6 position and see 10 contracts in GEZ5 and 10 contracts inGEZ5-GEZ6. By the time a CMO (buy 10 GEZ5, buy 10 GEZ5-GEZ6, CEI: FAK)reaches the matching engine only 5 contracts in GEZ5 are left. A CMOwith a CEI set to FAK will execute 5 in both contracts.

FIG. 6A-6C depict example structures of a CMO. FIG. 6A depicts atemplate with a Conditional Execution Instruction 620 and Orders 1 to N610. FIG. 6B illustrates an example CMO with four orders 630 and a CEI635 that has a requirement of execute all or none. This combination—ifall orders are executable, and thus the CMO accepted—would result in a 1contract (GEZ9+(GEZ8−GEZ9)+(GEZ7−GEZ8)+(GEZ6−GEZ7)=) GEZ6 position.Alternatively—if one or more of the FOKs would not be executable (noresting orders available at the limit price or better)—the CMO would berejected and none of the orders executed. FIG. 6C illustrates a secondexample CMO with fours orders 640 and a CEI 645 that has a requirementof execute all or none on orders 1, 2, and 3, 4. In this case, theexecution of order 1 and 2 are conditional on each other and order 3 and4 are conditional on each other. Therefore, this CMO either results in a1 contract GEZ6 position and a 1 contract GEZ8 position, a 1 contractsGEZ6 position, a 1 contract GEZ8 position or no position at all.

A CEI may include a single condition or multiple conditions. A CEI mayindicate that the orders in the CMO are to be either all accepted or allrejected. For example, the CMO includes orders A, B, C, and D and theCEI indicates that all are too be accepted or all rejected. If any of A,B, C, or D is unable to be filled, all of A, B, C, and D will berejected.

The CEI may also group orders together so that each group of orderscancels the other group if it executes. For example, a CMO containsorders A, B, C, and D. The CEI indicates that AB and CD are conditionalon each other but if AB is accepted then it cancels CD or if CD isaccepted it cancels AB. The CEI may indicate which group takes priority,to resolve a situation if both AB and CD were potentially accepted.

The CEI may indicate which orders within the CMO are conditional on eachother (and therefore are to be either all accepted or all rejectedtogether). For example, the CMO contains orders A, B, C, D, and E. A, B,and C are conditional on each other. D and E are conditional on eachother and also on ABC. If any of A, B, or C is reject, all orders willbe cancelled. If A, B, and C are acceptable, then A, B, and C will befilled. If A, B, C, D, and E are all acceptable, then each order will befilled.

In certain embodiments, there is one queue for all orders. Regardless ofif the orders are CMOs or any other order type, each order may beprocessed in sequence of arrival. In certain embodiments, there may bemultiple queues or multiple match engines 400. Orders may be processedin parallel or using a priority based system. In certain embodiments,there may be a limit on the number of orders in the CMO.

At act A120, the match engine 400 locks one or more order books. Orderbooks may constantly change as orders are received. Orders may bematched that were resting on the order book. Incoming orders that werenot matched may be added to the order book. Implied orders or syntheticorders may also be added to the order book. In certain embodiments, theorder books comprise only real orders.

In a typical matching process, an order is processed sequentially by amatch engine 400. The order is received then either filled or placed inthe order book. In an embodiment with one or more match engines orqueues, the order book may be accessed by multiple sources. If, forexample, a first match engine 400 is attempting to fill multipleconditional order, the system runs a risk of having an order bookchanged by the actions of a second match engine 400 before the attemptis completed. As such, when a match engine 400 processes a conditionalorder, the match engine 400 may lock each order book that the CMOaffects. A lock may prevent other match engines from accessing the orderbook to fill orders or for implication.

In certain embodiments, every order book is locked. In certainembodiments, only order books that may be affected the orders in the CMOare locked. Order books that are related to the orders in the CMO may belocked. Related order books may include order books that include similartypes of instruments or order books that historically have been affectedby past CMOs.

At act A130, the match engine 400 checks to see if the individual ordersin the CMO may be fully executed (transacted). The check (or first pass)may consist of the match engine 400 attempting to execute an orderwithout actually filling the order. Each order may be validated againstresting orders in the respective order book. For each order, the matchengine 400 may attempt to execute the order as normal, but not alter theorder book or generate a fill or confirmation message. The only outputmay from the validation may be to alter a flag or bit that is tied tothe order. For example, if an order is capable of being fully filled(there is a valid amount of resting liquidity in the respective orderbook), the match engine 400 may indicate by flagging the order or leg ashaving been validated. The match engine 400 may not make any changes tothe order book at this point.

In certain embodiments, the match engine 400 may generate a copy of theorder book as it would exist if the order was executed. This copy of theorder book may be used to validate other orders in the CMO. The matchengine 400 may also record the details of the potential match for lateruse, for example if the order is later executed. Since the informationabout the match is already known and the updated order book alreadycalculated, the match engine 400 may not have to recalculate each order.

In certain embodiments, if the validation or check fails at any point,the match engine 400 may proceed to act A150 and reject the CMO. Incertain embodiments, the match engine 400 may perform the check for eachorder and each order book regardless of if part of the CEI fails. TheCEI and therefore CMO may be rejected for multiple reasons. The identityof the reasons for failure may be beneficial to the trader who placedthe original order. If the conditions in the CEI are not met, the matchengine 400 may not generate a resting order as may normally occur for anon-matched order and the order may not be altered.

The match engine 400 may check each order sequentially or using parallelprocessing. In order to save time and operate efficiently, the matchengine 400 (or more than one match engine 400) may simultaneously checkeach order against their respective order books. For certain order booksthat include implied orders, the match engine 400 may perform the checksequentially. For example, if an order from the CMO is matched against asynthetic order it may affect a separate order book. If that separateorder book is related to an order in the CMO, the entire validation ofthe CMO may be in doubt. If the match engine 400 performs the checkingsequentially, the match engine 400 may re-arrange the sequence of theorders. For example, the match engine 400 may check larger orders in theCMO first or orders that may be more likely not to match.

After each order has been validated (or not validated), the match engine400 determines if the CEI has been met. If the CEI has not been met, theorder is rejected and the match engine 400 proceeds to Act A150. If thematch engine 400 determines that the CEI for the orders in the CMO havebeen met, the match engine 400 proceeds to Act A140. At Act A140, thematch engine 400 matches and executes the orders according to the CEI.At Act A150, the match engine 400 unlocks the order books. Acts A140 andA150 may be performed simultaneously or in sequence. When the matchengine 400 fills an order, the match engine 400 may unlock therespective order book and update the order book with the newly filledorder. Once the order book is unlocked, other match engines 400 orprocesses may access the order book.

At act A160, the match engine 400 generates confirmations. The matchengine 400 identifies each rejection or confirmation. The match engine400 then forwards these to the message management module, and triggersthe next order to be processed. The updated order book may also bepublished.

FIG. 7 depicts an example flowchart for a matching engine 400. Thematching engine receives an order at block 710. The order is enteredinto a single queue for all orders. If the order is a Non CMO order, aregular matching process 715 is performed. The result is either arejection or confirmation for the order. The processing is complete 760and the match engine processes the next order.

If the order is a CMO, at act 720, the order books are locked. The CMOmay include one or more orders that relate to one or more order books.In an embodiment, every order book is locked. In certain embodiments,only order books that may be affected the orders in the CMO are locked.Order books that are related to the orders in the CMO may be locked.Related order books may include order books that include similar typesof instruments or order books that historically have been affected bypast CMOs. By locking the order books, the matching engine prohibitsother orders in those books from being filled and removing orders thatmay be used for the CMO.

At step 730, the match engine checks to see if all orders in the CMO canbe executed. Each order in the CMO may be conditionally matched againstorders in specific locked related order books. The conditional matchingprocess may involve checking that both price and quantity is availablefor the orders. Each order book for a product may be referred to as amarket for the product. Outstanding (unmatched, whollyunsatisfied/unfilled or partially satisfied/filled) orders aremaintained in one or more memories or other storage devices, such as inone or more data structures or databases stored therein referred to as“order books,” such orders being referred to as “resting.” An order bookis typically maintained for each product, e.g. instrument, traded on theelectronic trading system and generally defines or otherwise representsthe state of the market for that product, i.e. the current prices atwhich the market participants are willing buy or sell that product.Validating each order may involve determining if there is enoughquantity in a resting order to fill the order. In an embodiment, eachcomponent order in the CMO may be checked sequentially. In anembodiment, the component orders may be ranked according to likelihoodof being matched. The orders may be ranked by quantity. When validatingthe orders, the validation process may validate each order in a seriesor in parallel. If the orders are validated in series, the process maybe halted as soon as one of the component orders cannot be matched.

If there is enough liquidity in the resting orders for each of theorders, the match engine executes the order against resting the restingliquidity at step 740. Each of the component orders in the CMO may beexecuted against their respective resting orders. If, however, one ormore of the orders cannot be executed, for example, if there is notresting liquidity in the respective order book, then the CMO isrejected. Once the CMO has been executed or rejected, the books then areunlocked at step 750.

The match engine then proceeds to step 760: a central point where allrejections/confirmations are collected. The rejections or confirmationsare forwarded by the messaging system (response). The next order istriggered to be processed.

In FIG. 5 described above, the CMO was received directly at the matchengine 400. In certain embodiments, there may be one or more layersbetween the match engine 400 and a trader. For example, as depicted inFIG. 8 , a trading application 820 operates between a tradingapplication and matching engine.

The match engine 400/840 provides a raw order book feed to theimplication vendor 830. The raw order book feed includes no impliedorders. The Implication vendor 830 inputs generated implied orders tothe feed and then provides an enriched order book feed to the tradingapplication 820. In certain embodiments, the implication vendor and/orthe trading applications are embedded within an exchange structure.

The trading application 820 receives a selection of impliedopportunities from a trader 810. A trader, for example, may generate theselection using trading software. The trader may transmit the selectionsto the trading application. The trading application sends a request toan implication vendor 830 to execute the implied opportunity. Thetrading application generates the CMO including the CEI.

The trading application submits the CMO to the match engine 400/840. Inthis embodiment, the match engine 400/840 may be using order books thatinclude only real orders (no implied orders). Implied orders are onlyadded to the order books at the implication vendor for advertisement ona market feed. With no implied orders in the order books used by thematch engine 400/840 and no need to calculate or generate impliedorders, the match engine may be able to process orders more efficiently.

In certain embodiments, the implication vendor identifies a combinationorders and any respective legs. For example, a trader may request anorder with a complex implication strategy. The implication vendor mayseparate the order into real orders. The legs may then be sent to thematch engine 400/840 as a CMO. For example, an order is received at theimplication vendor for a combination comprising two legs A and B. Theimplication vendor then identifies the combination as two orders A and Bthat are then packaged together with a CEI to generate a CMO that issent to the match engine 400/840. The trader is guaranteed to haveeither both A and B fully satisfied or nothing.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedabove as acting in certain combinations and even initially claimed assuch, one or more features from a claimed combination can in some casesbe excised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the embodiments described above should notbe understood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A system for controlling execution of multiple co-dependent transactions in an electronic data transaction processing system, the system comprising: one or more data structures configured to store data indicative of at least one other previously received but unsatisfied electronic data transaction request message; a plurality of hardware matching processors configured to receive incoming electronic data transaction request messages and to transact a plurality of data items with the plurality of data items that match, as they are received, the incoming electronic data transaction request messages, for one of the plurality of data items based on a first set of transaction parameters, received over a data communication network with the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures, the one or more data structures stored in a first non-transitory memory associated with the plurality of data items coupled with the plurality of hardware matching processors, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message, each particular hardware matching processor of the plurality of hardware matching processors coupled with and assigned to a particular data structure of the one or more data structures, each particular data structure associated with a different particular data item; and a processor separate from the plurality of hardware matching processors and coupled with a second non-transitory memory and the plurality of hardware matching processors, the second non-transitory memory storing computer executable instructions that, when executed by the processor, implement: an incoming order receiver including an interface coupled with the data communications network and configured to receive incoming electronic data transaction request messages from the data communications network and store the received incoming electronic data transaction request messages in a buffer memory coupled with the incoming order receiver prior to forwarding the received incoming electronic data transaction request messages to the particular hardware matching processor for the particular data structure of the data item of the received incoming electronic data transaction request message; the incoming order receiver being further configured to receive, from the data communications network, a combined electronic data transaction request comprising a conditional execution instruction and a plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items, the conditional execution instruction defining how each of the plurality of component electronic data transaction request messages are to be processed by the system; a validation processor, coupled with the incoming order receiver and the plurality of hardware matching processors, configured to, instead of forwarding each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors, determine that each of the plurality of component electronic data transaction request messages may be matched with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures to satisfy the conditional execution instruction, the validation processor further configured to lock a subset of the one or more data structures, the subset of the one or more data structures associated with a particular data item related to at least one of the plurality of component electronic data transaction request messages to prevent modification of the stored previously received but unsatisfied electronic data transaction request messages by other subsequently received incoming electronic data transaction request messages while determining that the conditional execution instruction can be satisfied, wherein the lock of the subset of the one or more data structures comprises sending, by the validation processor, an instruction to each particular hardware matching processor of the plurality of hardware matching processors coupled with each of the subset of the one or more data structures to prohibit modification of each particular data structure of the subset of the one or more data structures coupled therewith which prevents each particular hardware matching processor coupled with each of the subset of the one or more data structures from processing subsequently received incoming electronic data transaction request messages from the data communications network, wherein the validation processor is further operable to, subsequent to the lock of the subset of the one or more data structures, forward test messages for each of the plurality of component electronic data transaction request messages to a respective plurality of hardware matching processors to determine if each of the plurality of component electronic data transaction request messages may be fully satisfied by at least one previously received but unsatisfied electronic data transaction request message counter thereto stored in the subset of the one or more data structures, wherein the determination includes simultaneously checking the test messages, by the respective plurality of hardware matching processors, using parallel processing; and an order forwarder, coupled with the first non-transitory memory, the validation processor, the incoming order receiver and the plurality of hardware matching processors, configured to, upon occurrence of the validation processor determining that the conditional execution instruction can be satisfied, forward each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors in accordance with the conditional execution instruction, and upon occurrence of the validation processor determining that the conditional execution instruction cannot be satisfied, reject the combined electronic data transaction request, wherein the validation processor is further configured to unlock the subset of the one or more data structures stored in the first non-transitory memory, only subsequent to the forwarding or rejecting, to allow modification of any of the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the subset of the one or more data structures associated with the plurality of data items, wherein the unlock of the subset of the one or more data structures comprises sending, by the validation processor, an instruction to each particular hardware matching processor coupled with each of the subset of the one or more data structures to allow modification of the subset of the one or more data structures which enables each particular hardware matching processor coupled with each of the subset of the one or more data structures to process subsequently received incoming electronic data transaction request messages from the data communications network.
 2. The system of claim 1, wherein the conditional execution instruction is satisfied if each of the plurality of component electronic data transaction request messages may be fully satisfied by at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the first non-transitory memory.
 3. The system of claim 1, wherein the plurality of hardware matching processors is operable to prevent modification of the stored previously received but unsatisfied electronic data transaction request messages while the validation processor determines if the conditional execution instruction can be satisfied.
 4. The system of claim 1, wherein the validation processor is further operable to reject the combined electronic data transaction request if the conditional execution instruction cannot be satisfied.
 5. The system of claim 4, wherein the conditional execution instruction cannot be satisfied if one or more of the plurality of component electronic data transaction request messages may not be fully satisfied with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the first non-transitory memory.
 6. The system of claim 1, wherein each of the plurality of component electronic data transaction request messages comprises a leg of a combination order.
 7. The system of claim 1, wherein the incoming order receiver, the validation processor, the order forwarder, the plurality of hardware matching processors, and the one or more data structures stored in the first non-transitory memory comprise a match engine.
 8. A computer implemented method for controlling execution of multiple co-dependent transactions in an electronic data transaction processing system, the method comprising: storing, by a processor separate from a plurality of hardware matching processors, in one or more data structures, data indicative of at least one other previously received but unsatisfied electronic data transaction request message, the one or more data structures stored in a first non-transitory memory associated with a plurality of data items coupled with the plurality of hardware matching processors, the plurality of hardware matching processors configured to receive incoming electronic request data transaction messages and to transact the plurality of data items associated therewith with the plurality of data items that match, as they are received, the incoming electronic data transaction request messages, for one of the plurality of data items based on a first set of transaction parameters, received over a data communication network with the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message, each particular hardware matching processor of the plurality of hardware matching processors coupled with and assigned to a particular data structure of the one or more data structures, each particular data structure associated with a different particular data item; receiving, by the processor, a combined electronic data transaction request comprising a conditional execution instruction and a plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items; locking, by the processor, a subset of the one or more data structures, the subset of the one or more data structures associated with a particular data item related to at least one of the plurality of component electronic data transaction request messages to prevent modification, by other subsequently received incoming electronic data transaction request messages, of any of the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the first non-transitory memory associated with the plurality of data items, wherein the locking comprises sending, by the processor, an instruction to each particular hardware matching processor of the plurality of hardware matching processors coupled with each of the subset of the one or more data structures to prohibit modification of each particular data structure of the subset of the one or more data structures coupled therewith preventing each particular hardware matching processor coupled with each of the subset of the one or more data structures from processing subsequently received incoming electronic data transaction request messages from the data communications network; validating, by the processor, instead of forwarding each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors, that each of the plurality of component electronic data transaction request messages may be matched with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the first non-transitory memory associated with the plurality of data items to satisfy the conditional execution instruction, wherein the validating further comprises forwarding, subsequent to the locking of the subset of the one or more data structures, by the processor, test messages representing the plurality of component electronic data transaction request messages to the respective plurality of hardware matching processors to determine if there is a test match, wherein the determination includes simultaneously checking the test messages, by the respective plurality of hardware matching processors, using parallel processing; forwarding, by the processor, upon occurrence of the processor validating to satisfy the conditional execution instruction, each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors such that the forwarded plurality of component electronic data transaction request messages are all executed by the plurality of hardware matching processors before other subsequently received incoming electronic data transaction request messages, and rejecting, upon occurrence of a validation processor not validating to satisfy the conditional execution instruction, the combined electronic data transaction request; and unlocking, by the processor, the subset of the one or more data structures, only subsequent to the forwarding or rejecting, to allow modification of any of the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the subset of the one or more data structures associated with the plurality of data items, wherein the unlocking comprises sending, by the processor, an instruction to each particular hardware matching processor coupled with each of the subset of the one or more data structures to allow modification of the subset of the one or more data structures enabling each particular hardware matching processor coupled with each of the subset of the one or more data structures to process subsequently received incoming electronic data transaction request messages from the data communications network.
 9. The method of claim 8, wherein the conditional execution instruction is satisfied if each of the plurality of component electronic data transaction request messages may be fully matched with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the first non-transitory memory associated with the plurality of data items.
 10. The method of claim 8, further comprising: receiving, by the processor, an electronic data transaction request representing a spread order; and generating, by the processor, from the received spread order, the combined electronic data transaction request comprising the conditional execution instruction and the plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items.
 11. The method of claim 8, wherein the plurality of component electronic data transaction request messages include Fill or Kill instructions.
 12. The method of claim 8, wherein the plurality of component electronic data transaction request messages are validated and forwarded in sequence.
 13. The method of claim 8, wherein the plurality of component electronic data transaction request messages are validated and forwarded in parallel.
 14. A system for controlling execution of multiple co-dependent transactions in an electronic data transaction processing system, the system comprising: means for storing in one or more data structures, data indicative of at least one other previously received but unsatisfied electronic data transaction request message, the one or more data structures stored in a first non-transitory memory associated with a plurality of data items coupled with a plurality of hardware matching processors, the plurality of hardware matching processors configured to receive incoming electronic request data transaction messages and to transact a plurality of data items associated therewith with the plurality of data items that match, as they are received, the incoming electronic data transaction request messages, for one of the plurality of data items based on a first set of transaction parameters, received over a data communication network with the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures, to at least partially satisfy one or both of the incoming electronic data transaction request messages or the at least one other previously received electronic data transaction request message, each particular hardware matching processor of the plurality of hardware matching processors coupled with and assigned to a particular data structure of the one or more data structures, each particular data structure associated with a different particular data item; means for receiving incoming electronic data transaction request messages and storing the received incoming electronic data transaction request messages in a buffer memory prior to forwarding the received incoming electronic data transaction request messages to the particular hardware matching processor for the particular data structure of the data item of the received incoming electronic data transaction request message; means for receiving a combined electronic data transaction request comprising a conditional execution instruction and a plurality of component electronic data transaction request messages, each for transaction of a different data item of the plurality of data items, the conditional execution instruction defining how each of the plurality of component electronic data transaction request messages are to be processed by the system; means for, instead of forwarding each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors, determining that each of the plurality of component electronic data transaction request messages may be matched with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the non-transitory memory to satisfy the conditional execution instruction, means for locking a subset of the one or more data structures, the subset of the one or more data structures associated with a particular data item related to at least one of the plurality of component electronic data transaction request messages to prevent modification, by other subsequently received incoming electronic data transaction request messages, of the stored previously received but unsatisfied electronic data transaction request messages while determining that the conditional execution instruction can be satisfied, wherein the locking of the subset of the one or more data structures comprises sending an instruction to each particular hardware matching processor of the plurality of hardware matching processors coupled with each of the subset of the one or more data structures to prohibit modification of each particular data structure of the subset of the one or more data structures coupled therewith preventing each particular hardware matching processor coupled with each of the subset of the one or more data structures from processing subsequently received incoming electronic data transaction request messages from the data communications network; wherein the determining that each of the plurality of component electronic data transaction request messages may be matched further comprises forwarding, subsequent to the locking of the subset of the one or more data structures, test messages representing the plurality of component electronic data transaction request messages to the respective plurality of hardware matching processors to determine if there is a test match and checking the test messages, by the respective plurality of hardware matching processors, using parallel processing; means for forwarding each of the plurality of component electronic data transaction request messages to the plurality of hardware matching processors upon the determination that the conditional execution instruction can be satisfied; means for rejecting the combined electronic data transaction request upon the determination, that the conditional execution instruction cannot be satisfied; and means for unlocking the subset of the one or more data structures, only subsequent to the forwarding or rejecting, to allow modification of any of the at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the subset of the one or more data structures stored in the non-transitory memory associated with the plurality of data items, wherein the unlocking of the subset of the one or more data structures comprises sending an instruction to each particular hardware matching processor coupled with each of the subset of the one or more data structures to allow modification of the subset of the one or more data structures enabling each particular hardware matching processor coupled with each of the subset of the one or more data structures to process subsequently received incoming electronic data transaction request messages from the data communications network.
 15. The system of claim 14, wherein the conditional execution instruction is satisfied if each of the plurality of component electronic data transaction request messages may be fully matched with at least one other previously received but unsatisfied electronic data transaction request message counter thereto stored in the one or more data structures stored in the non-transitory memory associated with the plurality of data items.
 16. The system of claim 14, wherein the plurality of component electronic data transaction request messages include Fill or Kill instructions. 